Comparing Estimates and Models
/*--------------------------------------------------------------
SAS Sample Library
Name: autex02.sas
Description: Example program from SAS/ETS User's Guide,
The AUTOREG Procedure
Title: Comparing Estimates and Models
Product: SAS/ETS Software
Keys: autoregression
PROC: AUTOREG
Notes:
--------------------------------------------------------------*/
title 'Grunfeld''s Investment Models Fit with Autoregressive Errors';
data grunfeld;
input year gei gef gec;
label gei = 'Gross investment GE'
gec = 'Lagged Capital Stock GE'
gef = 'Lagged Value of GE shares';
datalines;
1935 33.1 1170.6 97.8
1936 45.0 2015.8 104.4
1937 77.2 2803.3 118.0
1938 44.6 2039.7 156.2
1939 48.1 2256.2 172.6
1940 74.4 2132.2 186.6
1941 113.0 1834.1 220.9
1942 91.9 1588.0 287.8
1943 61.3 1749.4 319.9
1944 56.8 1687.2 321.3
1945 93.6 2007.7 319.6
1946 159.9 2208.3 346.0
1947 147.2 1656.7 456.4
1948 146.3 1604.4 543.4
1949 98.3 1431.8 618.3
1950 93.5 1610.5 647.4
1951 135.2 1819.4 671.3
1952 157.3 2079.7 726.1
1953 179.5 2371.6 800.3
1954 189.6 2759.9 888.9
;
;* ... data lines omitted ... *;
proc autoreg data=grunfeld;
model gei = gef gec / nlag=1 dwprob;
model gei = gef gec / nlag=1 method=uls;
model gei = gef gec / nlag=1 method=ml;
run;